| Summary: | 碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 105 === Our analysis adopts the herding measure introduced by Lakonishok et al. (1992) (LSV measure) and uses panel data to examine the herding behavior of institutional investors in Taiwan 50 and GreTai 50 stocks. Empirical results show that in Taiwan 50 foreign institutional investors tend to herd on stocks with low P/B, big size, large trading volume, and high current volatility; and domestic mutual funds tend to herd on stocks with big size and large trading volume. In GreTai 50, herding measures of both institutional investors are mainly affected by the stock return and volatility. As to the buying herding measures, in Taiwan 50 both institutional investors prefer to buy stocks with big size, high Beta, high current return and large trading volume. In GreTai 50 there is no common preference between foreign and domestic mutual funds’ buying and selling herd behaviors. We also find that there is a positive serial correlation in the buy herding measures of foreign institutional investors in GreTai 50.
In terms of the impact of herd behaviors on stock return and volatility, we find that the herding behaviors of foreign institutional investors enhance the stock volatility in Taiwan 50 and GreTai 50 stocks, while those of domestic mutual funds exhibit no influence. Besides, the study find that the buy herding of both institutional investors has a significantly positive impact on stock return in Taiwan 50, but in GreTai 50 only foreign investors’ buy herding has such a positive impact on stock return. The stock returns are almost unaffected by institutional investors’ sell herding behaviors. Only the sell herding behavior of domestic mutual funds exhibits a significantly negative influnence in GreTai 50.
Finally, we use the Vector Autoregression model and causality test to analyze the interrelationship between two institutional investors’ herding behaviors. The evidence shows that two institutional investors’ herding behaviors don’t have any relationship. In GreTai 50 foreign institutional investors lead in domestic mutual funds in buy herding, domestic mutual funds lead in foreign institutional investors in sell herding.
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